This paper examines market strudurc and efficiency of price transmittals in the two national stock exchanges of India: Bombay Stock Exchange and National Stock Exchange. Price movements in a large number of important stocks in both markets arc considered The framework used is the Johansen-Jusclius multtvariatc cointcgration technique. It is discovered that price movements within cadi market are cointcgratcd Short run ECM annhsis shows that no stodc in any market is exogenous thus indicating that there is considerable feedback in short run price movements from each stock. Some short run price movements arc stabilizing. The Bombay Stock Exchange and National Stock Exchange appear to be reasonably efficient markets.